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中国管理科学 ›› 2022, Vol. 30 ›› Issue (4): 1-12.doi: 10.16381/j.cnki.issn1003-207x.2020.0044

• 论文 •    下一篇

嵌入网络舆情指数的中国金融机构系统性风险传染效应研究

欧阳资生1, 杨希特2, 黄颖3   

  1. 1.湖南师范大学商学院,湖南 长沙410081; 2.四川大学商学院,四川 成都610064;3.中国科学院亚热带农业生态研究所,湖南 长沙410125
  • 收稿日期:2020-01-09 修回日期:2020-06-24 出版日期:2022-04-20 发布日期:2022-04-26
  • 通讯作者: 黄颖(1994-),女(汉族),湖南平江人,中国科学院亚热带农业生态研究所,博士研究生,研究方向:金融风险管理与湿地生态,Email:854059150@qq.com. E-mail:854059150@qq.com
  • 基金资助:
    国家社会科学基金资助重点项目(17ATJ005,21ATJ009);湖南省自然科学基金资助项目(2021JJ30196);宏观经济大数据挖掘与应用湖南省重点实验室资助支持;湖南省研究生科研创新重点项目(CX20190884)

Research on Systemic Risk Contagion Effect of Chinese Financial Institutions Considering Network Public Opinion Index

OUYANG Zi-sheng1, YANG Xi-te2, HUANG Ying3   

  1. 1. School of Business, Hunan Normal University, Changsha 410081, China;2. Business School, Sichuan University, Chengdu 610064, China;3. The Institute of Subtropical Agriculture, The Chinese Academy of Sciences, Changsha 410125, China
  • Received:2020-01-09 Revised:2020-06-24 Online:2022-04-20 Published:2022-04-26
  • Contact: 黄颖 E-mail:854059150@qq.com

摘要: 首先基于文本挖掘技术构建反映投资者情绪的网络舆情指数,然后将所构建的网络舆情指数嵌入到系统性风险传染效应度量模型,得到修正的单指标非对称CoVaR模型,并运用线性分位数LASSO算法与局部多项式估计方法进行参数估计,以此为基础构建金融有向网络,进而对中国金融机构系统性风险传染效应进行实证分析。实证研究表明:(1) 以单指标非对称CoVaR为代表的金融机构风险指标与网络舆情的协同变化趋势明显;(2) 证券类和银行类金融机构对外部风险非常敏感,极易受到其他金融机构的影响,也极易影响其他金融机构;(3) 非银行类机构在风险积累阶段占据重要位置,银行在风险爆发时刻占据重要位置;(4) 相对于非银行类金融机构,银行类机构具有较强的传染能力。

关键词: 单指标非对称CoVaR模型;系统性风险;有向网络;LASSO算法;网络舆情指数

Abstract: The global financial crisis of 2007-2009 has aroused considerable interest in systemic risk, and has triggered rethinking of systemic financial risks by international organizations, financial regulators and scholars in various countries. The crisis connected socio-economic entities such as banks, real estate, insurance companies, hedge funds, and consumers into a community of economic interests, sharing risk factors. Financial crisis refers that the values of most financial assets drop together or one institution’s failure could propagate to other institutions, thus, financial crisis is systemic and results in the collapse of whole financial system. In fact, during the financial crisis, losses spread across financial institutions and the financial system is threatened. At the same time, the contagion of financial risks is becoming more and more frequently, and extreme risk events, including “cash crunch” and “curcuit breakers”, have caused the spread of network public opinion, and made systemic financial risks spread rapidly in the capital market.

Key words: single-index asymmetric CoVaR model; systemic risk; directed network; Lasso algorithm; network public opinion index

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